Available Products & Spreads

Available Products

Interest Rates-KIBOR

PMEX 3-Month KIBOR Futures Contract CONTRACT SPECIFICATIONS Contract Name PMEX 3-Month KIBOR Futures Contract Contract Underlying 3-Month KIBOR Contract Size PKR 1 Million  Future Contract Price Quotation The contract grade shall be 100 minus 3-Month KIBOR, up to two decimal places e.g. if 3-Month KIBOR expectation is 9.25%, the futures contract will be quoted as 90.75 Tick Size (Minimum allowed price move) 1 Basis Point (0.01) Tick Value Rs 25 Price Limits +/- 100 Basis Points per trading day Futures Contract Delivery Months 3-Month KIBOR Futures Contracts will be available for delivery in the Twelve Quarterly Expiries in the Mar, Jun, Sep, Dec cycle covering a period of three years Daily Settlement On T+0 basis all open positions shall be marked to market according to the daily settlement price Daily Settlement Price Daily Settlement Price shall be determined in order of priority by: 1. Closing Session Call Auction, provided minimum of 5 traders and 15 contracts traded 2. Volume-Weighted.

Average Price of last 30 minutes trading, provided minimum of 5 traders and 25 contracts traded 3. Exchange determined price based on PMEX Analytics’ Bootstrapping Methodology for Yield Curve Construction under No-Arbitrage Framework. Futures Contract Final Settlement Price 3-Month KIBOR Fixing on the Last Trading Day, as reported by FMAP and Reuters. In case 3-Month KIBOR fixing is not available on the Last Trading Day, previous fixing will be used for computation of Final Settlement Price Delivery against 3- Month KIBOR Futures Contract After trading in 3-Month KIBOR Futures Contracts for future delivery has ceased, outstanding contracts for such delivery shall be liquidated by cash settlement at the final settlement price.

Final settlement will result in a cash amount equal to the incremental profit/loss for the last trading day in the delivery month. Trading Days & Hours Monday to Friday: 09:00 am to 05:00 pm PST, except on the Last Trading Day of a contract in the delivery month when trading will end at 12:00 noon Trading Sessions Hours of trading for future delivery in 3-month KIBOR Futures Contract will be Monday to Friday (excluding Exchange specified holidays): Pre-Open: 9:00 am to 9:14 am PST Open Call Matching: 9:14 am to 9:16 am PST Normal Trading: 9:16 am to 4:45 pm PST Pre-Close: 4:45 pm to 5:00 pm PST Closing Call Matching: 5:00 pm PST Position Limits Clients: Greater of 5% of Open Interest or 5,000 Contracts. Brokers: Greater of 10% of Open Interest or 20,000 Contracts per Broker across all open Clients and Proprietary positions, on a Gross Basis Initial Margin Based on 99% 1-day VaR

List of Designated Contracts where Market Maker is Available

Brent Crude Oil Trade at PMEX 

Brent is a classification of fossil oil that serves as a globally accepted price benchmark for trading of crude oil. The classification is also referred to as light, sweet crude – light because of its low density and sweet because of its low sulfur content as compared to other benchmarks. Brent crude oil represents two thirds of the internationally traded crude oil supplies. The majority of Brent crude oil is extracted from the North Sea region.

Other well-known classifications of crude oil are the OPEC Basket and West Texas Intermediate (WTI). Historically, the price differences between Brent and other crude oil benchmarks have been based on differences in specifications and variations in demand and supply.

Previously, WTI was considered a more relevant benchmark but after the U.S. attained the status of the largest oil producing country, WTI price became of lesser interest to the traders, who were still buying Brent or oil from OPEC. Therefore, Brent is now considered a more realistic benchmark as compared to WTI. Moreover, investors also invest in spreads between Brent and WTI.

Since PMEX was established, WTI crude oil has been actively traded and now the Exchange plans to add Brent crude oil in its product portfolio. By introducing Brent crude oil, the Exchange will provide an excellent trading opportunity to PMEX market participants to hedge price risk, diversify portfolio and benefit from high volatility in prices and the prevailing spread between WTI and Brent. The SECP has approved the PMEX Brent Crude Oil Futures Contract and the Exchange plans to list contracts of 10 and 100 barrel very soon. Both these contracts are US dollar denominated and cash-settled and their prices will be referenced to a global pricing benchmark i.e. Brent Crude Oil, listed at Intercontinental Exchange (ICE), London.

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